Probability Analysis: Tools for SPY Options Trading
Hover over any point on the chart to see the probability of expiring above that strike price!
Expected Move Formula
\( EM = S \times \sigma \times std \times \sqrt{\tfrac{DTE}{365}} \)
- Volatility σ: VIX as the proxy value for SPY options pricing.
- Probability Analysis: The probability of expiring above one strike price on a certain day is measured by option deltas.
SPY Expected Move
| Expiration | Nov 24 (2D) | Nov 25 (3D) | Nov 26 (4D) | Nov 27 (5D) | Nov 28 (6D) | Dec 01 (9D) | Dec 02 (10D) | Dec 03 (11D) | Dec 04 (12D) | Dec 05 (13D) | Dec 12 (20D) | Dec 19 (27D) | Dec 26 (34D) |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| lower | 647.60 | 645.031 | 642.866 | 640.958 | 639.233 | 634.783 | 633.472 | 632.224 | 631.032 | 629.889 | 622.885 | 617.034 | 611.903 |
| upper | 670.46 | 673.029 | 675.194 | 677.102 | 678.827 | 683.277 | 684.588 | 685.836 | 687.028 | 688.171 | 695.175 | 701.026 | 706.157 |
| expected move | 11.43 | 13.999 | 16.164 | 18.072 | 19.797 | 24.247 | 25.558 | 26.806 | 27.998 | 29.141 | 36.145 | 41.996 | 47.127 |
Nianguang Zhao '25G, Master's in Financial Engineering at Lehigh University | Aspiring Quant | Cleared CFA Level 1
